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~isPartOf:"Applied economics"
~isPartOf:"Quantitative finance"
~isPartOf:"The European journal of finance"
~person:"Bayer, Christian"
~subject:"Volatilität"
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Volatilität
Option pricing theory
7
Optionspreistheorie
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Adaptive sparse grid quadrature
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Bayer, Christian
Gatheral, Jim
4
Radoičić, Radoš
4
Felpel, Mike
3
Horvath, Blanka Nora
3
Jacquier, Antoine
3
Kienitz, Jörg
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Applied economics
Quantitative finance
The European journal of finance
Advanced modelling in mathematical finance : in honour of Ernst Eberlein
1
International journal of theoretical and applied finance : IJTAF
1
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ECONIS (ZBW)
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Short-time near-the-money skew in rough fractional volatility models
Bayer, Christian
;
Friz, Peter K.
;
Gulisashvili, Archil
; …
- In:
Quantitative finance
19
(
2019
)
5
,
pp. 779-798
Persistent link: https://www.econbiz.de/10012194716
Saved in:
2
Hierarchical adaptive sparse grids and quasi-Monte Carlo for option
pricing
under the rough Bergomi model
Bayer, Christian
;
Ben Hammouda, Chiheb
;
Tempone, Raúl
- In:
Quantitative finance
20
(
2020
)
9
,
pp. 1457-1473
Persistent link: https://www.econbiz.de/10012295614
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